Nocetti, Diego; Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2012
We study comparative statics of Nth-degree risk increases, as de ned by Ekern (1980), within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on...